Hello Walaa,
AFAIK, the selected locale sets .NET (and not DotNetNuke) to obtain the date related settings directly from Windows settings (server side).
However it is an interesting question how to tweak this behavior. For example, my sites show the day of the week and the month using a lowercase first letter, because that is the way Spanish is supposed to behave. And, even if I would like to see those first letters uppercased, I don't know how to configure it.
If anyone does, any recommendation will be very welcome.
Saludos,
Alejandro.